private static AssetBalanceInventory ComputeAssetDynamics(AssetBalanceInventory startInventory,
AssetBalanceInventory endInventory)
{
if (startInventory == null && endInventory == null)
{
throw new InvalidOperationException("At least one inventory is required to compute dynamics");
}
Dictionary <string, AssetInventory> assetInventories = GroupAndMerge(
startInventory?.Inventories,
endInventory?.Inventories,
o => o.Exchange,
ComputeInventoryDynamics);
Dictionary <string, AssetBalance> assetBalances = GroupAndMerge(
startInventory?.Balances,
endInventory?.Balances,
o => o.Exchange,
ComputeBalanceDynamics);
return(new AssetBalanceInventory
{
AssetId =
startInventory?.AssetId ?? endInventory.AssetId,
AssetDisplayId =
startInventory?.AssetDisplayId ?? endInventory.AssetDisplayId,
Inventories =
assetInventories.Values.ToList(),
Balances =
assetBalances.Values.ToList()
});
}
private static AssetPnL CalcPnLByAsset(string assetId, string exchange,
InventorySnapshot startInventorySnapshot, InventorySnapshot endInventorySnapshot)
{
AssetBalanceInventory startAssetBalanceInventory = startInventorySnapshot.Assets
.SingleOrDefault(a => a.AssetId == assetId);
AssetBalanceInventory endAssetBalanceInventory = endInventorySnapshot.Assets
.SingleOrDefault(a => a.AssetId == assetId);
var startAssetBalance = startAssetBalanceInventory == null
? BalanceOnDate.Empty
: new BalanceOnDate(startAssetBalanceInventory.GetBalanceByExchange(exchange));
var endAssetBalance = endAssetBalanceInventory == null
? BalanceOnDate.Empty
: new BalanceOnDate(endAssetBalanceInventory.GetBalanceByExchange(exchange));
var startAssetInventory = startAssetBalanceInventory == null
? new AssetInventory {
Exchange = exchange
}
: startAssetBalanceInventory.GetInventoryByExchange(exchange);
var endAssetInventory = endAssetBalanceInventory == null
? new AssetInventory {
Exchange = exchange
}
: endAssetBalanceInventory.GetInventoryByExchange(exchange);
decimal tradingPnL = endAssetBalance.Price * (endAssetInventory.VolumeInUsd - startAssetInventory.VolumeInUsd);
decimal directionalPnL = startAssetBalance.Balance * (endAssetBalance.Price - startAssetBalance.Price);
var assetDisplayId = startAssetBalanceInventory?.AssetDisplayId ??
endAssetBalanceInventory?.AssetDisplayId ?? assetId;
return(new AssetPnL
{
Asset = assetDisplayId,
Exchange = exchange,
Trading = tradingPnL,
Directional = directionalPnL,
StartBalance = startAssetBalance,
EndBalance = endAssetBalance
});
}
